Sources of Alpha and Beta in Property Funds

This paper examines issues related to potential analytical performance systems for global property funds. These will include traditional attribution methods but will also cover the performance concepts of alpha and beta widely used in other asset classes. We look at issues including...what creates beta, and what drives alpha in real estate investment? How can it be measured and isolated? How do these concepts relate to traditional attribution systems? Can performance records and performance fees adequately distinguish between these drivers? In this paper we illustrate these issues by reference to a case study addressing the complete performance record of a single unlisted fund.unlisted property funds, performance attribution

Performance drivers of UK unlisted property funds

An unlisted property fund is a private investment vehicle which aims to provide direct property total returns and may also employ financial leverage which will accentuate performance. They have become a far more prevalent institutional property investment conduit since the early 2000’s. Investors have been primarily attracted to them due to the ease of executing a property exposure, both domestically and internationally, and for their diversification benefits given the capital intensive nature of constructing a well diversified commercial property investment portfolio. However, despite their greater prominence there has been little academic research conducted on the performance and risks of unlisted property fund investments. This can be attributed to a paucity of available data and limited time series where it exists. In this study we have made use of a unique dataset of institutional UK unlisted non-listed property funds over the period 2003Q4 to 2011Q4, using a panel modelling framework in order to determine the key factors which impact on fund performance. The sample provided a rich set of unlisted property fund factors including market exposures, direct property characteristics and the level of financial leverage employed. The findings from the panel regression analysis show that a small number of variables are able to account for the performance of unlisted property funds. These variables should be considered by investors when assessing the risk and return of these vehicles. The impact of financial leverage upon the performance of these vehicles through the recent global financial crisis and subsequent UK commercial property market downturn was also studied. The findings indicate a significant asymmetric effect of employing debt finance within unlisted property funds

Performance drivers of private real estate funds

Despite the growth seen in the private real estate fund market, there remains a paucity of academic work on their performance drivers and risk characteristics. This study empirically examines the characteristics and drivers who influence the performance and investment activity of private real estate funds. A detailed sample of US-focused closed-ended Value add and Opportunity funds is used to do this. Both absolute and relative performance measures are used, including the public market equivalent measure. This is more widely used in the private equity studies but to date has been little used in real estate work. The analysis showed that there was generally little statistical significance observed for fund characteristics being drivers of fund performance. Fund size was found to have limited influence upon subsequent performance and sector specialisation was only accretive for outperforming funds. Total vintage year capital flows negatively impacted performance irrespective of measure used. Fund investment activity, as measured by observed cash flows, was found to be pro-cyclical with the results being most significant for distributions

Adolescent Risperidone treatment alters protein expression associated with protein trafficking and cellular metabolism in the adult rat prefrontal cortex.

The prefrontal cortex (PFC) is associated with mental health illnesses including schizophrenia, depression, bipolar disorder, and autism spectrum disorders. It richly expresses neuroreceptors which are the target for antipsychotics. However, as the precise mechanism of action of antipsychotic medications is not known, proteomic studies of the effects of antipsychotic drugs on the brain are warranted. In the current study, we aimed to characterize protein expression in the adult rodent PFC (n = 5 per group) following low-dose treatment with Risperidone or saline in adolescence (postnatal days 34-47). The PFC was examined by triplicate 1 h runs of label-free LC-MS/MS. The raw mass spectral data were analyzed with the MaxQuant(TM) software. Statistical analysis was carried out using SAS® Version 9.1. Pathway and functional analysis was performed with IngenuityPathway Analysis and in the Database for Annotation, Visualization and Integrated Discovery (DAVID), respectively, the most implicated pathways were found to be related to mitochondrial function, protein trafficking, and the cytoskeleton. This report adds to the current repertoire of data available concerning the effects of antipsychotic drugs on the brain and sheds light on their biological mechanisms. The MS data have been deposited with the ProteomeXchange Consortium with dataset identifier PXD000480.</p

Maternal immune activation induces changes in myelin and metabolic proteins, some of which can be prevented with risperidone in adolescence.

BACKGROUND: Maternal infection is a risk factor for schizophrenia but the molecular and cellular mechanisms are not fully known. Myelin abnormalities are amongst the most robust neuropathological changes observed in schizophrenia, and preliminary evidence suggests that prenatal inflammation may play a role. METHODS: Label-free liquid chromatography-mass spectrometry was performed on the prefrontal cortex (PFC) of adult rat offspring born to dams that were exposed on gestational day 15 to the viral mimic polyinosinic:polycytidylic acid [poly(I:C), 4 mg/kg] or saline and treated with the atypical antipsychotic drug risperidone (0.045 mg/kg) or saline in adolescence. Western blotting was employed to validate protein changes. RESULTS: Over 1,000 proteins were quantified in the PFC with pathway analyses implicating changes in core metabolic pathways, following prenatal poly(I:C) exposure. Some of these protein changes were absent in the PFC of poly(I:C)-treated offspring that subsequently received risperidone treatment in adolescence. Particularly interesting reductions in the expression of the myelin-related proteins myelin basic protein isoform 3 (MBP1) and rhombex 29 were observed, which were reversed by risperidone treatment. Validation by Western blotting confirmed changes in MBP1 and mitogen-activated kinase 1 (MAPK1). Western blotting was extended to assess the MAPK signalling proteins due to their roles in inflammation, namely phosphorylated MAPK1 and phosphorylated MAPK-activated protein kinase 2. Both were upregulated by poly(I:C) treatment and reversed by risperidone treatment. CONCLUSIONS: Overall, our data suggest that maternal inflammation may contribute to an increased risk for schizophrenia through mechanisms involving metabolic function and myelin formation and that risperidone in adolescence may prevent or reverse such changes.</p